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Global Component of Sentiment in Futures Markets: Evidence from Covid-19 Pandemic

Author

Listed:
  • Tripathi, Abhinava

    (Indian Institute of Technology Kanpur, India)

  • Dixit, Alok

    (Indian Institute of Management Lucknow, India)

Abstract

We examine the impact of the global component of sentiment on the price return and volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic. The global component of sentiment causes investor overreactions. These overreactions accelerate the fall in prices and contribute to the rising volatility levels. The futures prices revert, though gradually, to their fundamental values as information from more reliable sources becomes available. This leads to price recovery and lower volatility levels.

Suggested Citation

  • Tripathi, Abhinava & Dixit, Alok, 2023. "Global Component of Sentiment in Futures Markets: Evidence from Covid-19 Pandemic," American Business Review, Pompea College of Business, University of New Haven, vol. 26(2), pages 355-384, November.
    • Handle: RePEc:ris:ambsrv:0083
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    File URL: https://digitalcommons.newhaven.edu/americanbusinessreview/vol26/iss2/4/
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    More about this item

    Keywords

    Global Sentiment; Coronavirus; Covid-19; Futures markets;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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